1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.RM2021
Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets
G. Mazzei, F. G. Bellora, J. A. Serur
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversi…
q-fin.MF2020★ 1 cited
Hierarchical PCA and Modeling Asset Correlations
Marco Avellaneda, Juan Andrés Serur
Modeling cross-sectional correlations between thousands of stocks, across countries and industries, can be challenging. In this paper, we demonstrate the advantages of using Hierar…
q-fin.GN2019
151 Estrategias de Trading (151 Trading Strategies)
Zura Kakushadze, Juan Andrés Serur
This book, which is in Spanish, provides detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a host of asset classes (and tradin…